IV Rank & IV Percentile (ToS)

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# tastytrade/dough Research Team

# Michael Rechenthin, Ph.D.

# Follow me on twitter:  @mrechenthin

#

# IV Rank is a description of where the current IV lies in comparison 

# to its yearly high and low IV 

#

# IV Percentile gives the percentage of days over the last year, that 

# were below the current IV.  If the IV Rank is above 50%, then 

# the script will highlight it green; otherwise red.

#

# For information on the two, see Skinny on Options Data Science, 

# titled "IV Rank and IV Percentile (w/ thinkscript)" on Nov 12, 2015

# http://ontt.tv/1Nt4fcS

# 

# version 3.2

#

declare lower;

declare hide_on_intraday; # do not display when using intra-day plots

input days_back = 252; # it is most common to use 1-year (or 252 trading days)

def x;

if GetAggregationPeriod() > AggregationPeriod.DAY {

x=1;

} else {

x=2;

}

AddLabel(yes, if (x==1) then "This script should be used on daily charts only" else "");

# implied volatility

# using proxies for futures

def df = if (GetSymbol() == "/ES") then close("VIX") / 100

else if (GetSymbol() == "/CL") then close("OIV") / 100 

else if (GetSymbol() == "/GC") then close("GVX") / 100 

else if (GetSymbol() == "/SI") then close("VXSLV") / 100 

else if (GetSymbol() == "/NQ") then close("VXN") / 100 

else if (GetSymbol() == "/TF") then close("RVX") / 100 

else if (GetSymbol() == "/YM") then close("VXD") / 100 

else if (GetSymbol() == "/6E") then close("EVZ") / 100 

else if (GetSymbol() == "/6J") then close("JYVIX") / 100 

else if (GetSymbol() == "/6B") then close("BPVIX") / 100 

else if (GetSymbol() == "/ZN") then close("TYVIX") / 100 

else if (Getsymbol() == "/ZW") then close("WIV") / 100

else if (Getsymbol() == "/ZB") then imp_volatility("TLT") 

else if (Getsymbol() == "/ZC") then imp_volatility("CORN") 

else if (Getsymbol() == "/ZS") then imp_volatility("SOYB") 

else if (Getsymbol() == "/KC") then imp_volatility("JO") 

else if (Getsymbol() == "/NG") then imp_volatility("UNG") 

else if (Getsymbol() == "/6S") then imp_volatility("FXF") 

else imp_volatility();

def df1 = if !IsNaN(df) then df else df[-1];

# display regular implied volatility

# ---------------------------

AddLabel(yes, "IV: " + Round(df1 * 100.0, 0), Color.ORANGE);

# calculate the IV rank

# ---------------------------

# calculate the IV rank

def low_over_timespan = Lowest(df1, days_back);

def high_over_timespan = Highest(df1, days_back);

def iv_rank = Round( (df1 - low_over_timespan) / (high_over_timespan - low_over_timespan) * 100.0, 0);

AddLabel(yes, "IV Rank: " + iv_rank + "%", if iv_rank > 50 then Color.GREEN else Color.RED);

# calculate the IV percentile

# ---------------------------

# how many times over the past year, has IV been below the current IV

def counts_below = fold i = 1 to days_back + 1 with count = 0 

do 

  if df1[0] > df1[i] then 

    count + 1

  else

    count;

def iv_percentile = Round(counts_below / days_back * 100.0, 0);

plot IVs = df1 * 100;

IVs.SetLineWeight(3);

IVs.AssignValueColor(if iv_rank > 50 then Color.GREEN else Color.RED);

AddLabel(yes, "IV Percentile: " + iv_percentile + "% of days were below the past year's IV", if iv_percentile > 50 then Color.GREEN else Color.RED);

# thanks to Kevin Osborn for the following line

AddLabel(yes, if (GetSymbol() == "/6S" or GetSymbol() == "/ZB" or GetSymbol() == "/ZC" or GetSymbol() == "/NG" or GetSymbol() == "/ZS" or GetSymbol() == "/KC") then "* ETF based" else "", Color.BLACK);

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IV Rank & Percentile (ToS).txt

Displaying IV Rank & Percentile (ToS).txt.